| Literature DB >> 23935232 |
Abstract
We propose an adaptive truncated product method that facilitates the selection of the truncation point among a set of candidates. To efficiently estimate the distribution of the proposed method when the p-values are correlated, we develop a single-layer bootstrap procedure.Entities:
Keywords: Adaptive; Panel cointegration; Truncated product method; p-value
Year: 2013 PMID: 23935232 PMCID: PMC3736994 DOI: 10.1016/j.econlet.2013.02.013
Source DB: PubMed Journal: Econ Lett ISSN: 0165-1765